Publication:2919950

zbMath1250.91102MaRDI QIDQ2919950

Mark S. Joshi, Chao Yang

Publication date: 23 October 2012

Full work available at URL: http://iospress.metapress.com/content/06v3m25587660uu2/fulltext.html

zbMATH Keywords

Delta; Monte Carlo simulation; market model; adjoint method; computational order; Vega

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G70: Statistical methods; risk measures

65C05: Monte Carlo methods

91G30: Interest rates, asset pricing, etc. (stochastic models)

91G20: Derivative securities (option pricing, hedging, etc.)